The Day-of-the-Week Effect: Evidence from Selected Balkan Markets

Abstract

The main aim of this paper is to investigate the existence of the “day of the week” financial effect in select Balkans stock markets indices. Many findings of market anomalies have corroborated the presence of the “day of the week” effect in developed markets; however, so far scarce research has been presented on this subject for the Balkan capital markets. Hence, an additional objective of this paper is to examine the impact of this market anomaly on the market efficiency hypothesis. The methodology used in this paper employs a regression including dummy variables which will help determine the existence of the effect. The authors use daily mean returns of selected stock indices found to be lower at the beginning of the week but not necessarily on Monday. The results are interpreted and expounded taking into consideration the history and market development. The paper provides academia and investors as well as policy makers new perspective of the market anomalies linked to the financial behavior of the capital markets in select Balkan countries.

Efficient Market Hypothesis: Case of the Croatian Capital Market

“…Another two papers examined specifically Romanian market. The first paper studied the "day of the week" effect and revealed no breach of the efficient market hypothesis 8 . The second paper analyzed intraday price movements confirming deviations from the efficient market hypothesis.…”

Football and Stock Market Performance Correlation: Evidence From Italy

“…In light of the efficient market hypothesis (Karanovic and Karanovic, 2018) there is an emerging empirical literature that investigate whether football results are price sensitive information. Mainly, British soccer clubs listed have been examined (Dobson and Goddard, 2001;Palomino et al, 2009;Bell et al, 2009), as well as other European teams too, like Portugal clubs (Duque and Ferreira, 2005), Turkish clubs (Berument et al, 2006;Demir and Danis, 2011), Italian clubs (Fassano and Boido, 2007) or mixed sample (Floros, 2014).…”

Analysis of the intensity of trading on the Ukrainian stock market

“…Wellknown classical research [3], conducted in 1980, reported that the mean returns for the S&P500 index were higher on Friday in comparison to other days. To illustrate the range of existing studies on that topic (without trying to list all possible references), we recall [4][5][6][7][8] and references therein.…”